A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study approximates financial market with discrete-time models.
Study of discrete-time mean-variance model using reinforcement learning.
This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a straightforward discretization. We found that Merton's strategy approximates the per…
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the optimal discrete-time strate…
Defines speculative bubbles in discrete-time models based on discounted stock price losing mass.
Study proves existence and convergence of discrete-time Kyle models with multiple insiders.
We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time
We find a normal form for two-input flat discrete-time systems.
Discrete-time systems can be characterized by simple flat coordinates and their shifts.
Characterizes super-replication prices in a financial market model.
Study optimal hedging for claims with random weights in discrete time.
RL solves discrete LQ control with Gaussian optimal policy.
Study shows financial value of weak information converges in discrete vs continuous markets.
Optimal strategy for liquidating portfolios under discrete time intervals.
The paper proves that linearization along trajectories preserves flatness in discrete-time systems.
Paper formulates mutual information optimal control for discrete-time systems.
Neural nets replicate hedging payoffs for realistic discrete-time settings.
Paper develops a continuous-time framework for financial markets without stochastic calculus.
Extended flatness approach for discrete-time systems considers forward and backward shifts.
We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.
Safety filter for unknown discrete-time systems with learned models and noise covariance.
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the expected shortfall under a cost constraint and show that these problems can be trea…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.
We explore a new method for discrete-time control problems using randomization and entropy.
Study arbitrage in financial markets with trading restrictions.
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete time. Explicit formulas…
Solves utility maximization for delayed informed investors.
The paper confirms a conjecture about optimal expected utility in markets with insider information.
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market inc…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem, which encompass the formulations of [Bouchard, B., & Nutz, M. (2015). Arbitrage and …
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.
Semistatic trading strategies can be taken to limits in discrete time.
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower …
Study asset pricing under model uncertainty with discrete time and states.
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value fu…
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric Brownian motion sampled on uniformly spaced times in the limit of a very large number of averaging time steps.…
Accelerators with power-law memory are proposed in the framework of the discrete time approach. To describe discrete accelerators we use the capital stock adjustment principle, which has been suggested by Matthews.The suggested discrete accelerators with memory describe the economic processes with the power-law memory …
The paper analyzes the probabilistic structure of DDPMs and bounds their sampling error.
PA reinterpreted as SB problem, unifying thermodynamics and optimal transport.
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carl…
We examine Kreps' (2019) conjecture that optimal expected utility in the classic Black--Scholes--Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies that "approach" the BSM economy in a natural sense: The th discrete-time economy is generated by a scaled -step r…
We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitr…
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an opt…
Application of discrete-time survival methods for continuous-time survival prediction is considered. For this purpose, a scheme for discretization of continuous-time data is proposed by considering the quantiles of the estimated event-time distribution, and, for smaller data sets, it is found to be preferable over the …
Study shows unique linear equilibrium in market with constrained trader.
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an -valued best bid price process and an -valued volume process. …
New method for discrete-time survival analysis with competing risks.
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous an…